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his paper deal with aggregation of AR(1) micro variables driven by a common and idiosyncratic shock with random …
Persistent link: https://www.econbiz.de/10010746139
We consider temporal aggregation of stationary and nonstationary time series with short memory, long memory and …
Persistent link: https://www.econbiz.de/10011543358
The annual structure of the real GDP in the UK, France, Germany and Italy is examined in this article by means of fractionally integrated techniques. Using a version of a testing procedure due to Robinson (1994), we show that the series can be specified in terms of I(d) statistical models with d...
Persistent link: https://www.econbiz.de/10010310342
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In this article, we propose two new semiparametric estimators in the wavelet domain in order to estimate the parameter of nonstationary long memory models. Compared to the Fourier transform, the advantage of the wavelet approach to analyze the behavior of nonstationary time series is that it can...
Persistent link: https://www.econbiz.de/10010989277
Semiparametric estimation of the memory parameter is studied in models of fractional integration in the nonstationary case, and some new representation theory for the discrete Fourier transform of a fractional process is used to assist in the analysis. A limit theory is developed for an...
Persistent link: https://www.econbiz.de/10005087395
An exact form of the local Whittle likelihood is studied with the intent of developing a general purpose estimation procedure for the memory parameter (d) that does not rely on tapering or differencing prefilters. The resulting exact local Whittle estimator is shown to be consistent and to have...
Persistent link: https://www.econbiz.de/10005593209
. 2008, checking nonstationarity of series, stationarity of returns, applying the ARCH tests to the series. This period was …
Persistent link: https://www.econbiz.de/10008675325
Semiparametric estimation of a bivariate fractionally cointegrated system is considered. We propose a two-step procedure that accommodates both (asymptotically) stationary (d<1/2) and nonstationary (d>=1/2) stochastic trend and/or equilibrium error. A tapered version of the local Whittle estimator of Robinson (2008) is...</1/2)>
Persistent link: https://www.econbiz.de/10008679192